The Roadmap of Interest Rate Liberalization in China

Content Provider	Semantic Scholar
Author	Chong, Terence Tai Leung Liu, Wenqi
Copyright Year	2017
Abstract	This paper examines the roadmap of interest rate liberalization in China, including the current dual-track interest rate system and the future benchmark rate system. It provides a theoretical foundation for China to develop its own benchmark interest rate. A Vector autoregression model (VAR) is estimated to investigate the effectiveness of Chinese market interest rates, Shanghai Interbank Offered Rate (SHIBOR), and repo rates against different factors such as market size, volatility, transmission channels of monetary policy, and term structures of interest rates. The result shows that SHIBOR affects both the market and the economy. As SHIBOR promptly reflects the changes in currency markets, we argue that it has the potential to become China’s benchmark interest rate.
File Format	PDF HTM / HTML
Alternate Webpage(s)	https://mpra.ub.uni-muenchen.de/80564/1/MPRA_paper_80564.pdf
Language	English
Access Restriction	Open
Subject Keyword	Autoregressive model Benchmark (computing) Dual Money NIH Roadmap Initiative tag Vector autoregression Volatility
Content Type	Text
Resource Type	Article